Quantitative Analysis of Individual Borrower Credit Risk

This training program will detail the development and use of credit ratings for credit risk assessment; development of financial statement regression techniques as embodied in the Altman Z score for credit risk assessment; differences in quantitative tools for differing loan type; importance of data quality for quantitative tools, and more.

In financial markets, the credit risk of a borrower is simply the risk that the borrower – whether an individual, corporation, or government entity – will not pay the full interest and principal of the loan when contractually obligated to do so. Credit risk, therefore, is as old as lending itself. Lenders, therefore, must study a potential loan carefully to decide whether, and on what terms, to lend to a prospective borrower.

This pre-transaction study is known as credit underwriting. After the lender has made the loan, it is also critically important to stay abreast of the likelihood of borrower repayment. This post-transaction review is surveillance.

This webinar will focus on the quantitative, rather than fundamental, analysis of the loan transaction for both underwriting and surveillance.

Learning Objectives:

Learn the meaning, development, and use of credit ratings for credit risk assessment

Learn the meaning and development of financial statement regression techniques as embodied in the Altman Z score for credit risk assessment

All analysts, traders, and managers in front, middle, and back office of all banks and financial institutions

Auditors to financial firms

Financial consultants

Investment professionals

Treasury department professionals of all firms with activity involving issuance of debt

Financial group professionals of all firms with activity involving financial assets of the firm such as accounts receivable, trade receivables, hedges and derivatives

Professionals employed with government and supra-national entities with activity related to financial aspects of their organizations

Instructor Profile:

Joseph M. Pimbley, principal of Maxwell Consulting, LLC, is an expert in financial risk management as well as modeling, risk, and valuation analysis for financial asset types including structured products, derivatives, currencies, and debt of corporate, financial, municipal, and sovereign entities. His experience includes leadership of business groups, information technology, enterprise risk management, and quantitative modeling teams. In a prominent engagement from 2009 to 2010, Dr. Pimbley served as a lead investigator for the examiner appointed by the Lehman bankruptcy court to resolve numerous issues pertaining to one of the largest bankruptcies in history. He earned his BS, MS, and PhD degrees in theoretical physics from the Rensselaer Polytechnic Institute (RPI).

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